[auto commit] dow30_daily reconciliation & execution on 2024-01-11

cvxgrp · Jan 11, 2024 · a918f04 · a918f04
1 parent ad67d3e
commit a918f04
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Showing 3 changed files with 68 additions and 1 deletion.
diff --git a/examples/strategies/dow30_daily_initial_holdings.json b/examples/strategies/dow30_daily_initial_holdings.json
@@ -356,10 +356,43 @@
         "PG": 0.0,
         "TRV": 0.0,
         "UNH": 101162.79541015631,
-        "USDOLLAR": -101.96599828524859,
+        "USDOLLAR": -101.965997224179,
         "V": 74986.510345459,
         "VZ": 0.0,
         "WBA": 0.0,
         "WMT": 9573.599853515618
+    },
+    "2024-01-11 14:30:00+00:00": {
+        "AAPL": 238771.19140625006,
+        "AMGN": 31860.14923095701,
+        "AXP": 0.0,
+        "BA": 0.0,
+        "CAT": 0.0,
+        "CRM": 92727.99999999994,
+        "CSCO": 48202.68013643065,
+        "CVX": 0.0,
+        "DIS": 0.0,
+        "DOW": 0.0,
+        "GS": 0.0,
+        "HD": 118910.96878051753,
+        "HON": 0.0,
+        "IBM": 0.0,
+        "INTC": 0.0,
+        "JNJ": 0.0,
+        "JPM": 0.0,
+        "KO": 0.0,
+        "MCD": 1.3733370566116348e-12,
+        "MMM": 0.0,
+        "MRK": 0.0,
+        "MSFT": 294904.0,
+        "NKE": 521.1000061035171,
+        "PG": 0.0,
+        "TRV": 0.0,
+        "UNH": 100792.44091796882,
+        "USDOLLAR": -0.32134321440636177,
+        "V": 75125.17758178717,
+        "VZ": 0.0,
+        "WBA": 0.0,
+        "WMT": 9519.650360107413
     }
 }
diff --git a/examples/strategies/dow30_daily_target_weights.json b/examples/strategies/dow30_daily_target_weights.json
@@ -361,5 +361,38 @@
         "VZ": 1.8584366133436376e-10,
         "WBA": 3.019733835848589e-10,
         "WMT": 0.009463332388278792
+    },
+    "2024-01-11 14:30:00+00:00": {
+        "AAPL": 0.23609506346227147,
+        "AMGN": 0.03150306671474795,
+        "AXP": 9.608848322359098e-10,
+        "BA": 2.0889369540688844e-09,
+        "CAT": 8.5966575482134e-10,
+        "CRM": 0.09190500756520693,
+        "CSCO": 0.04766252193099425,
+        "CVX": 9.334730879058467e-10,
+        "DIS": 1.3991956697611413e-09,
+        "DOW": 1.4652926110058205e-09,
+        "GS": 9.124607284414802e-10,
+        "HD": 0.1176547372764344,
+        "HON": 6.641290614649437e-10,
+        "IBM": 5.171669849146346e-10,
+        "INTC": 1.6769323374728451e-09,
+        "JNJ": 1.3483393905656349e-09,
+        "JPM": 2.019223121076852e-09,
+        "KO": 9.713889753833306e-10,
+        "MCD": 3.4087138866958875e-09,
+        "MMM": 6.16938456123863e-10,
+        "MRK": 1.0789050479426178e-09,
+        "MSFT": 0.2915984947307798,
+        "NKE": 0.0003275688816463551,
+        "PG": 7.848473476424704e-10,
+        "TRV": 7.008682658572608e-10,
+        "UNH": 0.0996629335847343,
+        "USDOLLAR": 7.431237560864926e-09,
+        "V": 0.07428045479179092,
+        "VZ": 6.746984316367384e-10,
+        "WBA": 1.0694099966647328e-09,
+        "WMT": 0.009310119478685052
     }
 }
diff --git a/examples/strategies/strategy_executor.py b/examples/strategies/strategy_executor.py
@@ -285,6 +285,7 @@ def backtest_from_day(self, day):
         # select same day if available, else last one before
         weights_day = sorted(
             [d for d in self.all_target_weights if d <= day])[-1]
+        logger.info('Using target weights of day %s', weights_day)
         day_target_weigths = pd.Series(self.all_target_weights[weights_day])
         day_universe = [
             el for el in day_init_holdings.index if not el == self.cash_key]